# arXiv.org

# Papers

**Contact information of arXiv.org:**

Web page: http://arxiv.org/

**For corrections or technical questions regarding this series, please contact
(arXiv administrators)** **Series handle:** repec:arx:papers
**Citations RSS feed:** at CitEc
**Impact factors**:
Simple
(last 10 years),
Recursive
(10),
Discounted
(10),
Recursive discounted
(10),
H-Index
(10),
Aggregate
(10)
**Access and download statistics****Top item:** By citations. By downloads (last 12 months).

More pages of listings: 0| 1| 2| 3| 4| 5| 6| 7| 8| 9| 10| 11| 12| 13| 14| 15| **16**| 17| 18| 19| 20| 21| 22| 23| 24| 25

### 2009

**0906.0999 The premium of dynamic trading***by*Chun Hung Chiu & Xun Yu Zhou**0906.0702 Optimal Redeeming Strategy of Stock Loans***by*Min Dai & Zuo Quan Xu**0906.0678 Continuous-Time Markowitz's Model with Transaction Costs***by*Min Dai & Zuo Quan Xu & Xun Yu Zhou**0906.0658 Asymptotic Implied Volatility at the Second Order with Application to the SABR Model***by*Louis Paulot**0906.0480 Analysis of a network structure of the foreign currency exchange market***by*Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz & Andrzej Gorski**0906.0394 Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes***by*A. Gulisashvili**0906.0392 Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models***by*A. Gulisashvili & E. M. Stein**0906.0208 An example of a stochastic equilibrium with incomplete markets***by*Gordan Zitkovic**0905.4912 Dynamical Clustering of Exchange Rates***by*Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones**0905.4815 Trading leads to scale-free self-organization***by*M. Ebert & W. Paul**0905.4793 Class formation in a social network with asset exchange***by*Christian H. Sanabria & R. Huerta-Quintanilla & M. Rodriguez-Achach**0905.4740 Jump-Diffusion Risk-Sensitive Asset Management***by*Mark H. A. Davis & Sebastien Lleo**0905.4657 Indifference price with general semimartingales***by*Sara Biagini & Marco Frittelli & Matheus R. Grasselli**0905.4450 Stock Market and Motion of a Variable Mass Spring***by*Enrique Canessa**0905.4272 Complementarity between private and public investment in R&D: A Dynamic Panel Data analysis***by*Sadraoui Tarek & Naceur Ben Zina**0905.4237 Statistical Properties of Fluctuations: A Method to Check Market Behavior***by*Prasanta K. Panigrahi & Sayantan Ghosh & P. Manimaran & Dilip P. Ahalpara**0905.4171 A Prediction Market for Toxic Assets Prices***by*Alan Holland**0905.3928 Estimating discriminatory power and PD curves when the number of defaults is small***by*Dirk Tasche**0905.3891 La prime de risque dans un cadre international : le risque de change est-il appr\'eci\'e ?***by*Mohamed El Hedi Arouri**0905.3875 Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects***by*Mohamed El Hedi Arouri**0905.3874 Stock market integration in the Latin American markets: further evidence from nonlinear modeling***by*Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri**0905.3873 Structural Breaks in the Mexico's Integration into the World Stock Market***by*Mohamed El Hedi Arouri & Jamel Jouini**0905.3871 A la Recherche des Facteurs D\'eterminants de l'Int\'egration Internationale des March\'es Boursiers : une Analyse sur Donn\'ees de Panel***by*Mohamed El Hedi Arouri**0905.3870 On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses***by*Mohamed El Hedi Arouri & Julien Fouquau**0905.3808 Simulation and Use of Heuristics for Peripheral Economic Policy***by*Mattheos K. Protopapas & Elias B. Kosmatopoulos**0905.3803 Income and Poverty in a Developing Economy***by*Amit K Chattopadhyay & Graeme J Ackland & Sushanta K Mallick**0905.3701 On the Martingale Property of Certain Local Martingales***by*Aleksandar Mijatovic & Mikhail Urusov**0905.3601 Optimal Stopping for Non-linear Expectations***by*Erhan Bayraktar & Song Yao**0905.3326 Volatility derivatives in market models with jumps***by*A. Mijatovic & H. Lo**0905.2926 One-Dimensional Pricing of CPPI***by*Louis Paulot & Xavier Lacroze**0905.2770 Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves***by*Marco Bianchetti**0905.2546 Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres***by*Hamza Fekir**0905.2366 Emergence of Price Divergence in a Model Short-Term Electric Power Market***by*Randall A. LaViolette & Lory A. Ellebracht & Kevin L. Stamber & Charles J. Gieseler & Benjamin K. Cook**0905.2091 Spectral methods for volatility derivatives***by*Claudio Albanese & Harry Lo & Aleksandar Mijatovi\'c**0905.2043 The effect of a market factor on information flow between stocks using minimal spanning tree***by*Cheoljun Eom & Okyu Kwon & Woo-Sung Jung & Seunghwan Kim**0905.1882 Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model***by*Giacomo Bormetti & Valentina Cazzola & Danilo Delpini**0905.1518 Colloquium: Statistical mechanics of money, wealth, and income***by*Victor M. Yakovenko & J. Barkley Rosser**0905.0781 Variance-covariance based risk allocation in credit portfolios: analytical approximation***by*Mikhail Voropaev**0905.0582 Empirical regularities of opening call auction in Chinese stock market***by*Gao-Feng Gu & Fei Ren & Xiao-Hui Ni & Wei Chen & Wei-Xing Zhou**0905.0468 A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information***by*Paulo F. C. Tilles & Fernando F. Ferreira & Gerson Francisco & Carlos de B. Pereira & Flavia Mori Sarti**0905.0220 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis***by*Didier Sornette & Ryan Woodard**0905.0155 Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management***by*Zuzana Macova & Daniel Sevcovic**0905.0129 Correlations, Risk and Crisis: From Physiology to Finance***by*A. N. Gorban & E. V. Smirnova & T. A. Tyukina**0905.0128 A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals***by*L. Lin & Ren R. E & D. Sornette**0905.0072 Information of Interest***by*Dorje C. Brody & Robyn L. Friedman**0904.4822 Implied Correlation for Pricing multi-FX options***by*Pavel V. Shevchenko**0904.4620 Haar Wavelets-Based Approach for Quantifying Credit Portfolio Losses***by*Josep J. Masdemont & Luis Ortiz-Gracia**0904.4430 Collective firm bankruptcies and phase transition in rating dynamics***by*Pawe{\l} Sieczka & Janusz A. Ho{\l}yst**0904.4364 Continuous-time trading and the emergence of probability***by*Vladimir Vovk**0904.4131 Executing large orders in a microscopic market model***by*Alexander Weiss**0904.4099 Local Risk Decomposition for High-frequency Trading Systems***by*M. Bartolozzi & C. Mellen**0904.4075 Modeling operational risk data reported above a time-varying threshold***by*Pavel V. Shevchenko & Grigory Temnov**0904.4074 Dynamic operational risk: modeling dependence and combining different sources of information***by*Gareth W. Peters & Pavel V. Shevchenko & Mario V. W\"uthrich**0904.3929 La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France***by*Ammar Kessab**0904.3213 Simplified stock markets described by number operators***by*F. Bagarello**0904.3210 Stock markets and quantum dynamics: a second quantized description***by*F. Bagarello**0904.3004 Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series***by*Wong Jian Cheng & Lian Heng & Cheong Siew Ann**0904.3000 Law of the exponential functional of one-sided L\'evy processes and Asian options***by*Pierre Patie**0904.2913 Generalized supermartingale deflators under limited information***by*Constantinos Kardaras**0904.2910 Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates***by*Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly**0904.2731 An Introduction to Hedge Funds***by*Sovan Mitra**0904.2376 Credit risk modeling using time-changed Brownian motion***by*T. R. Hurd**0904.2113 Doves and hawks in economics revisited. An evolutionary quantum game theory-based analysis of financial crises***by*Matthias Hanauske & Jennifer Kunz & Steffen Bernius & Wolfgang K\"onig**0904.1903 Minimizing the expected market time to reach a certain wealth level***by*Constantinos Kardaras & Eckhard Platen**0904.1805 Implementing Loss Distribution Approach for Operational Risk***by*Pavel V. Shevchenko**0904.1798 Market viability via absence of arbitrage of the first kind***by*Constantinos Kardaras**0904.1772 A "Toy" Model for Operational Risk Quantification using Credibility Theory***by*Hans B\"uhlmann & Pavel V. Shevchenko & Mario V. W\"uthrich**0904.1771 Estimation of Operational Risk Capital Charge under Parameter Uncertainty***by*Pavel V. Shevchenko**0904.1756 Regime Switching Stochastic Volatility with Perturbation Based Option Pricing***by*Sovan Mitra**0904.1653 An extension of Davis and Lo's contagion model***by*Didier Rulli\`ere & Diana Dorobantu & Areski Cousin**0904.1500 Regime Switching Volatility Calibration by the Baum-Welch Method***by*Sovan Mitra**0904.1483 Model uncertainty in claims reserving within Tweedie's compound Poisson models***by*Gareth W. Peters & Pavel V. Shevchenko & Mario V. W\"uthrich**0904.1426 What are the limits on Commercial Bank Lending?***by*Jacky Mallett**0904.1404 The Size Variance Relationship of Business Firm Growth Rates***by*Massimo Riccaboni & Fabio Pammolli & Sergey V. Buldyrev & Linda Ponta & H. Eugene Stanley**0904.1402 Perturbation theory in a pure exchange non-equilibrium economy***by*Samuel E. Vazquez & Simone Severini**0904.1361 The Quantification of Operational Risk using Internal Data, Relevant External Data and Expert Opinions***by*Dominik D. Lambrigger & Pavel V. Shevchenko & Mario V. W\"uthrich**0904.1292 A Review of Volatility and Option Pricing***by*Sovan Mitra**0904.1157 Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling***by*P. V. Shevchenko**0904.1131 Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation***by*Sovan Mitra**0904.1107 Scaling and memory in the return intervals of realized volatility***by*Fei Ren & Gao-Feng Gu & Wei-Xing Zhou**0904.1078 GARCH options via local risk minimization***by*Juan-Pablo Ortega**0904.1074 Vanna-Volga methods applied to FX derivatives : from theory to market practice***by*Fr\'ed\'eric Bossens & Gr\'egory Ray\'ee & Nikos S. Skantzos & Griselda Deelstra**0904.1067 The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions***by*P. V. Shevchenko & M. V. W\"uthrich**0904.1042 Long-term correlations and multifractal analysis of trading volumes for Chinese stocks***by*Guo-Hua Mu & Wei Chen & J\'anos Kert\'esz & Wei-Xing Zhou**0904.0900 The price impact of order book events: market orders, limit orders and cancellations***by*Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren**0904.0896 An operatorial approach to stock markets***by*F. Bagarello**0904.0870 Risk Measures in Quantitative Finance***by*Sovan Mitra**0904.0830 Computing Tails of Compound Distributions Using Direct Numerical Integration***by*Xiaolin Luo & Pavel V. Shevchenko**0904.0805 The (unfortunate) complexity of the economy***by*Jean-Philippe Bouchaud**0904.0756 The Problem of Modeling of Economic Dynamics***by*S. I. Chernyshov & A. V. Voronin & S. A. Razumovsky**0904.0729 Does economics need a scientific revolution?***by*Ivan O. Kitov**0904.0624 A new approach for scenario generation in Risk management***by*Juan-Pablo Ortega & Rainer Pullirsch & Josef Teichmann & Julian Wergieluk**0904.0555 The affine LIBOR models***by*Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann**0904.0344 Introducing Chaos in Economic Gas-like Models***by*C. Pellicer-Lostao & R. Lopez-Ruiz**0903.5064 Unemployment and inflation in Western Europe: solution by the boundary element method***by*Ivan Kitov & Oleg Kitov**0903.4833 Recovering a time-homogeneous stock price process from perpetual option prices***by*Erik Ekstr\"om & David Hobson**0903.4783 Threshold levels in Economics***by*V. P. Maslov**0903.4542 Maximum Entropy Distributions Inferred from Option Portfolios on an Asset***by*C. Neri & L. Schneider**0903.4478 Exact Pricing Asymptotics for Investment-Grade Tranches of Synthetic CDO's. Part II: A Large Heterogeneous Pool***by*Richard B. Sowers**0903.4475 Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool***by*Richard B. Sowers**0903.4216 Statistical thermodynamics of economic systems***by*H. Quevedo & M. N. Quevedo**0903.3736 Num\'{e}raire-invariant preferences in financial modeling***by*Constantinos Kardaras**0903.3657 Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets***by*Lampros Boukas & Diogo Pinheiro & Alberto Pinto & Stylianos Xanthopoulos & Athanasios Yannacopoulos**0903.3346 The Transfer Pricing Problem with Non-Linearities***by*S. Zverovich**0903.3254 Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market***by*David B. Saakian**0903.2910 Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes***by*Yingdong Lv & Bernhard K. Meister**0903.2428 Price Impact***by*J. P. Bouchaud & Capital Fund Management**0903.2243 Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency***by*Edward D. Weinberger**0903.2099 Financial Atoms and Molecules***by*Yik Wen Goo & Tong Wei Lian & Wei Guang Ong & Wen Ting Choi & Siew-Ann Cheong**0903.1643 A Simplified Approach to modeling the credit-risk of CMO***by*K. Rajaratnam**0903.1629 Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation***by*Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano**0903.1592 Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space***by*William T. Shaw & Jonathan McCabe**0903.1531 Inference on multivariate ARCH processes with large sizes***by*Gilles Zumbach**0903.1525 The empirical properties of large covariance matrices***by*Gilles Zumbach**0903.0993 Statistical analysis of the overnight and daytime return***by*Fengzhong Wang & Shwu-Jane Shieh & Shlomo Havlin & H. Eugene Stanley**0903.0680 Quantum Neural Computation for Option Price Modelling***by*Vladimir G. Ivancevic**0903.0286 What is the best firm size to invest?***by*Ivan O. Kitov**0903.0282 A dynamic nonlinear model for saturation in industrial growth***by*Arnab K. Ray**0903.0203 Mechanical Model of Personal Income Distribution***by*Ivan O. Kitov**0903.0010 Quantitative law describing market dynamics before and after interest-rate change***by*Alexander M. Petersen & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley**0902.4684 Quantized Interest Rate at the Money for American Options***by*L. M. Dieng**0902.4274 Time and symmetry in models of economic markets***by*Lee Smolin**0902.4245 T-Systems and the lower Snell envelope***by*Erick Trevino Aguilar**0902.4159 Liquidity Crisis, Granularity of the Order Book and Price Fluctuations***by*M. Cristelli & V. Alfi & L. Pietronero & A. Zaccaria**0902.3840 Scale Invariance, Bounded Rationality and Non-Equilibrium Economics***by*Samuel E. Vazquez**0902.3836 The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets***by*Cheoljun Eom & Jongwon Park & Woo-Sung Jung & Taisei Kaizoji & Yong H. Kim**0902.3643 A Fourier transform method for spread option pricing***by*T. R. Hurd & Zhuowei Zhou**0902.3456 On the valuation of compositions in L\'evy term structure models***by*Wolfgang Kluge & Antonis Papapantoleon**0902.2965 Optimal leverage from non-ergodicity***by*Ole Peters**0902.2756 Monitoring dates of maximal risk***by*Erick Trevino Aguilar**0902.2735 First-passage and risk evaluation under stochastic volatility***by*Jaume Masoliver & Josep Perello**0902.2516 Optimal Trade Execution in Illiquid Markets***by*Erhan Bayraktar & Mike Ludkovski**0902.2479 Regularity of the Optimal Stopping Problem for Jump Diffusions***by*Erhan Bayraktar & Hao Xing**0902.2429 A Unified Framework for Dynamic Pari-Mutuel Information Market Design***by*Shipra Agrawal & Erick Delage & Mark Peters & Zizhuo Wang & Yinyu Ye**0902.2070 Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models***by*M. Ali Saif & Prashant M. Gade**0902.2065 Emergence of Power Law in a Market with Mixed Models***by*M. Ali Saif & Prashant M. Gade**0902.1721 Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives***by*Rasoul Behboudi & You-Lan Zhu**0902.1576 A Paradigm Shift from Production Function to Production Copula: Statistical Description of Production Activity of Firms***by*H. Iyetomi & H. Aoyama & Y. Fujiwara & Y. Ikeda & W. Souma**0902.1328 On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation***by*Laurent Carraro & Nicole El Karoui & Jan Ob{\l}\'oj**0902.0878 Backbone of complex networks of corporations: The flow of control***by*J. B. Glattfelder & S. Battiston**0902.0713 Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]***by*Amparo Baillo**0902.0504 The role of a matchmaker in buyer-vendor interactions***by*Linyuan L\"u & Matus Medo & Yi-Cheng Zhang**0902.0188 A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment***by*Subrata Chakrabarty**0902.0100 The Reality Game***by*Dmitriy Cherkashin & J. Doyne Farmer & Seth Lloyd**0902.0075 A k-generalized statistical mechanics approach to income analysis***by*F. Clementi & M. Gallegati & G. Kaniadakis**0901.4914 Exchangeability type properties of asset prices***by*Ilya Molchanov & Michael Schmutz**0901.4793 Structure and evolution of the foreign exchange networks***by*Jaroslaw Kwapien & Sylwia Gworek & Stanislaw Drozdz**0901.4604 Laplace transformation method for the Black-Scholes equation***by*Hyoseop Lee & Dongwoo Sheen**0901.4447 Mathematical analysis of Soros's theory of reflexivity***by*C. P. Kwong**0901.3812 The Minimal Model of Financial Complexity***by*Philip Maymin**0901.3404 Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models***by*Igor Halperin & Pascal Tomecek**0901.3398 BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives***by*Matthias Arnsdorf & Igor Halperin**0901.3318 Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability***by*Michail Anthropelos & Gordan Zitkovic**0901.3003 Timed tuplix calculus and the Wesseling and van den Bergh equation***by*J. A. Bergstra & C. A. Middelburg**0901.2857 Kinetic models for wealth exchange on directed networks***by*Arnab Chatterjee**0901.2826 Optimal systems of subalgebras for a nonlinear Black-Scholes equation***by*Maxim Bobrov**0901.2586 Information geometries and Microeconomic Theories***by*Richard Nock & Brice Magdalou & Nicolas Sanz & Eric Briys & Fred Celimene & Frank Nielsen**0901.2484 Consumption and Portfolio Rules for Time-Inconsistent Investors***by*Jesus Marin-Solano & Jorge Navas**0901.2384 An Analysis of the Japanese Credit Network***by*G. De Masi & Y. Fujiwara & M. Gallegati & B. Greenwald & J. E. Stiglitz**0901.2381 Visualizing a large-scale structure of production network by N-body simulation***by*Yoshi Fujiwara**0901.2377 Structure and temporal change of the credit network between banks and large firms in Japan***by*Yoshi Fujiwara & Hideaki Aoyama & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma**0901.2275 Volatility forecasts and the at-the-money implied volatility: a multi-components ARCH approach and its relation with market models***by*Gilles Zumbach**0901.2271 Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence***by*Erik Van der Straeten & Christian Beck**0901.2080 On the Dybvig-Ingersoll-Ross Theorem***by*Constantinos Kardaras & Eckhard Platen**0901.2070 State-dependent utility maximization in L\'evy markets***by*Jose E. Figueroa-Lopez & Jin Ma**0901.1945 A mathematical proof of the existence of trends in financial time series***by*Michel Fliess & C\'edric Join**0901.1794 Agent-Based Model Approach to Complex Phenomena in Real Economy***by*Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma**0901.1776 Efficient swaptions price in Hull-White one factor model***by*Marc Henrard**0901.1500 Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors***by*Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Hiroshi Iyetomi & Wataru Souma**0901.1392 The Spread of the Credit Crisis: View from a Stock Correlation Network***by*Reginald D. Smith**0901.1315 Stochastic Volatility Models Including Open, Close, High and Low Prices***by*Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst**0901.1218 Efficient Pricing of CPPI using Markov Operators***by*Louis Paulot & Xavier Lacroze**0901.1099 Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation***by*Damiano Brigo & Kyriakos Chourdakis & Imane Bakkar**0901.1038 Economic Models with Chaotic Money Exchange***by*Carmen Pellicer-Lostao & Ricardo Lopez-Ruiz**0901.0992 An Adaptive Markov Chain Monte Carlo Method for GARCH Model***by*Tetsuya Takaishi**0901.0903 A long-range memory stochastic model of the return in financial markets***by*V. Gontis & J. Ruseckas & A. Kononovicius**0901.0674 Robust pricing and hedging of double no-touch options***by*Alexander M. G. Cox & Jan Obloj**0901.0638 Quantile Mechanics II: Changes of Variables in Monte Carlo methods and GPU-Optimized Normal Quantiles***by*William T. Shaw & Thomas Luu & Nick Brickman**0901.0495 Studies of the limit order book around large price changes***by*Bence Toth & Janos Kertesz & J. Doyne Farmer**0901.0447 Evaluating the performance of adapting trading strategies with different memory lengths***by*Andreas Krause**0901.0434 The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map***by*William T. Shaw & Ian R. C. Buckley**0901.0401 From Physics to Economics: An Econometric Example Using Maximum Relative Entropy***by*Adom Giffin

### 2008

**0901.0091 Illiquidity and Derivative Valuation***by*Ulrich Horst & Felix Naujokat**0901.0033 Measuring expectations in options markets: An application to the SP500 index***by*Abel Rodriguez & Enrique ter Horst**0812.4978 Optimal dividend distribution under Markov-regime switching***by*Zhengjun Jiang & Martijn Pistorius**0812.4737 Economic law of increase of Kolmogorov complexity. Transition from financial crisis 2008 to the zero-order phase transition (social explosion)***by*V. P. Maslov**0812.4548 A method of moments approach to pricing double barrier contracts driven by a general class of jump diffusions***by*Bjorn Eriksson & Martijn Pistorius**0812.4455 Probability of Large Movements in Financial Markets***by*Robert Kitt & Maksim Sakki & Jaan Kalda**0812.4210 A Stochastic Processes Toolkit for Risk Management***by*Damiano Brigo & Antonio Dalessandro & Matthias Neugebauer & Fares Triki**0812.4199 An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model***by*Damiano Brigo & Naoufel El-Bachir**0812.4163 Default correlation, cluster dynamics and single names: The GPCL dynamical loss model***by*Damiano Brigo & Andrea Pallavicini & Roberto Torresetti**0812.4159 Constant Maturity Credit Default Swap Pricing with Market Models***by*Damiano Brigo**0812.4156 Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis***by*Massimo Morini & Damiano Brigo**0812.4052 The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation***by*Damiano Brigo**0812.4050 On three filtering problems arising in mathematical finance***by*Damiano Brigo & Bernard Hanzon**0812.4028 Steady coexistence of the subjects of the market representing the private and state capital***by*Viktor I. Shapovalov**0812.4010 Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing***by*Damiano Brigo & Fabio Mercurio**0812.3705 Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps***by*Damiano Brigo & Agostino Capponi**0812.3538 Estimation of the instantaneous volatility***by*A. Alvarez & F. Panloup & M. Pontier & N. Savy**0812.3381 Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling***by*Olivier Aj Bardou & Noufel Frikha & G. Pag\`es

**16**| 17| 18| 19| 20| 21| 22| 23| 24| 25